Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0721 |
| Annualized Std Dev | 0.4044 |
| Annualized Sharpe (Rf=0%) | -0.1782 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4147.0000 |
| NAs | 1.0000 |
| Minimum | -0.4595 |
| Quartile 1 | -0.0081 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0003 |
| Quartile 3 | 0.0085 |
| Maximum | 0.5800 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0007 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0006 |
| Stdev | 0.0255 |
| Skewness | 0.7864 |
| Kurtosis | 104.4596 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0181 |
| Gain Deviation | 0.0213 |
| Loss Deviation | 0.0216 |
| Downside Deviation (MAR=210%) | 0.0219 |
| Downside Deviation (Rf=0%) | 0.0180 |
| Downside Deviation (0%) | 0.0180 |
| Maximum Drawdown | 0.9514 |
| Historical VaR (95%) | -0.0303 |
| Historical ES (95%) | -0.0566 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2014-09-22 | 2020-03-18 | NA | -0.9514 | 1636 | 1382 | NA |
| 2007-04-17 | 2008-12-01 | 2013-05-10 | -0.7030 | 1529 | 412 | 1117 |
| 2005-09-12 | 2005-12-13 | 2006-10-17 | -0.1767 | 278 | 66 | 212 |
| 2013-07-02 | 2013-10-10 | 2013-12-24 | -0.1123 | 123 | 71 | 52 |
| 2014-01-02 | 2014-03-13 | 2014-08-15 | -0.0996 | 157 | 49 | 108 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 | -0.2 | 0.2 | 0.6 | 1.2 |
| 2005 | 0.3 | -0.2 | -1.2 | 0.9 | 0.8 | -0.9 | -0.1 | 0.6 | 0 | 0 | 1.3 | -0.4 | 0.8 |
| 2006 | 0.8 | -0.1 | 0.4 | -0.7 | 0.9 | 0.4 | -0.6 | 1.4 | 0.4 | -2.5 | 1.5 | 0.8 | 2.8 |
| 2007 | 0.4 | 0 | 2.5 | -0.6 | 2.2 | 1 | -0.8 | 2.7 | -2.4 | -2.3 | 0.6 | 1.8 | 5 |
| 2008 | 3.3 | -2.3 | 1.4 | 0.2 | 0 | -0.5 | 1 | -4.5 | -2.1 | 1.3 | -16.8 | 9 | -11.6 |
| 2009 | -0.2 | 0.1 | -5.3 | 0.3 | 1.9 | -4.3 | -0.6 | -0.3 | -4.1 | 3.4 | 1.1 | 1.4 | -6.8 |
| 2010 | 0.5 | -0.1 | -1.7 | -0.5 | -2.4 | 0.5 | 2.9 | 1.4 | -0.8 | 0 | 0.5 | 1.3 | 1.4 |
| 2011 | 1.4 | -0.2 | -1 | 0.5 | -1.4 | 0.3 | 2.3 | -1.1 | -1.3 | 0.3 | 1.5 | -0.2 | 0.9 |
| 2012 | 0.1 | 0.2 | 1.5 | -0.2 | -1.2 | 0.2 | 0.3 | 1 | 0.7 | 0.7 | -0.5 | 1.2 | 4 |
| 2013 | 0.4 | 0.1 | 0.6 | 0.6 | -1.3 | 0.1 | 1.2 | -0.9 | 1.5 | 0.9 | 0.1 | 0.8 | 4.3 |
| 2014 | 1 | 0.1 | 0.6 | 0.1 | 0.6 | -0.8 | -1.9 | 0.7 | -1.8 | -0.3 | -2.2 | -0.9 | -4.6 |
| 2015 | -0.5 | 0.6 | -1 | 0.6 | -0.2 | -4 | -1.9 | -1 | -0.4 | 3.8 | -2 | 7.3 | 0.9 |
| 2016 | -6.4 | -2.5 | -0.3 | 1.3 | 3.4 | -1.2 | -2.8 | -0.6 | 1.9 | -0.6 | -1.4 | 0.4 | -8.7 |
| 2017 | 4 | 0.6 | 2.1 | -0.3 | 0.1 | 0.8 | -1.1 | 0.6 | 0.4 | 0.7 | 2.9 | 0.3 | 11.7 |
| 2018 | 2.2 | -0.5 | 2.3 | 0.2 | 0.9 | 1.7 | -0.8 | -0.5 | 1.7 | 2.5 | -1.4 | 3.9 | 12.9 |
| 2019 | 2.1 | 0.8 | 0.9 | 0.4 | -1.2 | 0.5 | -1 | 0.5 | -1.7 | 2.1 | -0.2 | 0.7 | 3.9 |
| 2020 | -1.1 | -0.4 | -5.8 | -4.9 | 2.6 | -2.1 | -1.5 | -2.1 | -1.3 | -1.7 | 3.2 | 1.1 | -13.5 |
| 2021 | 0.5 | 2.5 | 2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-09-28 25 SPY 111. 0.00480 -0.0149 -0.0015 -0.0232 0.113 0.0975 -0.148 <NA> NA NA NA
2 2004-09-29 25.2 SPY 112. 0.005 0.0026 0.0119 -0.0235 0.108 0.0936 -0.125 <NA> NA NA NA
3 2004-09-30 25.3 SPY 112. -0.0007 0.0073 0.0059 -0.0104 0.118 0.0701 -0.125 <NA> NA NA NA
4 2004-10-01 25.4 SPY 114. 0.0169 0.0196 0.0209 0.0068 0.113 0.09 -0.116 <NA> NA NA NA
5 2004-10-04 25.4 SPY 114. 0.0017 0.0279 0.0112 0.0174 0.111 0.0782 -0.113 <NA> NA NA NA
6 2004-10-05 25.6 SPY 114. 0.0005 0.0235 0.0159 0.015 0.102 0.061 -0.102 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
